Inherit CommodityIndex from Index

ql/experimental/commodities/commodityindex.cpp

@@ -37,8 +37,6 @@ namespace QuantLib {
       calendar_(std::move(calendar)), lotQuantity_(lotQuantity),
       forwardCurve_(std::move(forwardCurve)), exchangeContracts_(std::move(exchangeContracts)),
       nearbyOffset_(nearbyOffset) {
-        quotes_ = IndexManager::instance().getHistory(indexName);
-        IndexManager::instance().setHistory(indexName, quotes_);
         registerWith(Settings::instance().evaluationDate());
         registerWith(IndexManager::instance().notifier(name()));
 

ql/experimental/commodities/commodityindex.hpp

@@ -25,15 +25,14 @@
 #define quantlib_commodity_index_hpp
 
 #include <ql/experimental/commodities/commoditycurve.hpp>
-#include <ql/indexes/indexmanager.hpp>
+#include <ql/index.hpp>
 
 namespace QuantLib {
 
     class TermStructure;
 
     //! base class for commodity indexes
-    class CommodityIndex : public Observable,
-                           public Observer {
+    class CommodityIndex : public Index {
       public:
         CommodityIndex(const std::string& name,
                        CommodityType commodityType,
@@ -46,7 +45,11 @@ namespace QuantLib {
                        int nearbyOffset);
         //! \name Index interface
         //@{
-        std::string name() const;
+        std::string name() const override;
+        Calendar fixingCalendar() const override;
+        bool isValidFixingDate(const Date& fixingDate) const override;
+        Real fixing(const Date& fixingDate,
+                    bool forecastTodaysFixing = false) const override;
         //@}
         //! \name Observer interface
         //@{
@@ -57,31 +60,71 @@ namespace QuantLib {
         const CommodityType& commodityType() const;
         const Currency& currency() const;
         const UnitOfMeasure& unitOfMeasure() const;
-        const Calendar& calendar() const;
         const ext::shared_ptr<CommodityCurve>& forwardCurve() const;
         Real lotQuantity() const;
-
-        Real price(const Date& date);
         Real forwardPrice(const Date& date) const;
         Date lastQuoteDate() const;
+        bool empty() const;
+        bool forwardCurveEmpty() const;
         //@}
-        void addQuote(const Date& quoteDate, Real quote);
 
+        /*! \deprecated Use fixingCalendar instead.
+                        Deprecated in version 1.37.
+        */
+        [[deprecated("Use fixingCalendar instead")]]
+        const Calendar& calendar() const {
+            return calendar_;
+        }
+
+        /*! \deprecated Use fixing instead.
+                        Deprecated in version 1.37.
+        */
+        [[deprecated("Use fixing instead")]]
+        Real price(const Date& date) {
+            return fixing(date);
+        }
+
+        /*! \deprecated Use addFixing instead.
+                        Deprecated in version 1.37.
+        */
+        [[deprecated("Use fixing instead")]]
+        void addQuote(const Date& quoteDate, Real quote) {
+            addFixing(quoteDate, quote);
+        }
+
+        /*! \deprecated Use addFixings instead.
+                        Deprecated in version 1.37.
+        */
+        [[deprecated("Use addFixings instead")]]
         void addQuotes(const std::map<Date, Real>& quotes) {
-            std::string tag = name();
-            quotes_ = IndexManager::instance().getHistory(tag);
             for (auto quote : quotes) {
-                quotes_[quote.first] = quote.second;
+                addQuote(quote.first, quote.second);
             }
-            IndexManager::instance().setHistory(tag, quotes_);
         }
 
-        void clearQuotes() const;
-        //! returns TRUE if the quote date is valid
-        bool isValidQuoteDate(const Date& quoteDate) const;
-        bool empty() const;
-        bool forwardCurveEmpty() const;
-        const TimeSeries<Real>& quotes() const;
+        /*! \deprecated Use clearFixings instead.
+                        Deprecated in version 1.37.
+        */
+        [[deprecated("Use clearFixings instead")]]
+        void clearQuotes() {
+            clearFixings();
+        }
+
+        /*! \deprecated Use isValidFixingDate instead.
+                        Deprecated in version 1.37.
+        */
+        [[deprecated("Use isValidFixingDate instead")]]
+        bool isValidQuoteDate(const Date& quoteDate) const {
+            return isValidFixingDate(quoteDate);
+        }
+
+        /*! \deprecated Use timeSeries instead.
+                        Deprecated in version 1.37.
+        */
+        [[deprecated("Use timeSeries instead")]]
+        const TimeSeries<Real>& quotes() const {
+            return timeSeries();
+        }
 
         friend std::ostream& operator<<(std::ostream&, const CommodityIndex&);
       protected:
@@ -91,7 +134,6 @@ namespace QuantLib {
         Currency currency_;
         Calendar calendar_;
         Real lotQuantity_;
-        TimeSeries<Real> quotes_;
         ext::shared_ptr<CommodityCurve> forwardCurve_;
         Real forwardCurveUomConversionFactor_ = 1;
         ext::shared_ptr<ExchangeContracts> exchangeContracts_;
@@ -113,6 +155,18 @@ namespace QuantLib {
         return name_;
     }
 
+    inline Calendar CommodityIndex::fixingCalendar() const {
+        return calendar_;
+    }
+
+    inline bool CommodityIndex::isValidFixingDate(const Date& fixingDate) const {
+        return fixingCalendar().isBusinessDay(fixingDate);
+    }
+
+    inline Real CommodityIndex::fixing(const Date& date, bool) const {
+        return pastFixing(date);
+    }
+
     inline const CommodityType& CommodityIndex::commodityType() const {
         return commodityType_;
     }
@@ -125,10 +179,6 @@ namespace QuantLib {
         return currency_;
     }
 
-    inline const Calendar& CommodityIndex::calendar() const {
-        return calendar_;
-    }
-
     inline Real CommodityIndex::lotQuantity() const {
         return lotQuantity_;
     }
@@ -138,21 +188,6 @@ namespace QuantLib {
         return forwardCurve_;
     }
 
-    inline const TimeSeries<Real>& CommodityIndex::quotes() const {
-        return quotes_;
-    }
-
-    inline Real CommodityIndex::price(const Date& date) {
-        auto hq = quotes_.find(date);
-        if (hq->second == Null<Real>()) {
-            ++hq;
-            if (hq == quotes_.end())
-                //if (hq->second == Null<Real>())
-                return Null<Real>();
-        }
-        return hq->second;
-    }
-
     inline Real CommodityIndex::forwardPrice(const Date& date) const {
         try {
             Real forwardPrice =
@@ -165,13 +200,11 @@ namespace QuantLib {
     }
 
     inline Date CommodityIndex::lastQuoteDate() const {
-        if (quotes_.empty())
-            return Date::minDate();
-        return quotes_.lastDate();
+        return timeSeries().lastDate();
     }
 
     inline bool CommodityIndex::empty() const {
-        return quotes_.empty();
+        return timeSeries().empty();
     }
 
     inline bool CommodityIndex::forwardCurveEmpty() const {
@@ -180,24 +213,6 @@ namespace QuantLib {
         return false;
     }
 
-    inline void CommodityIndex::addQuote(const Date& quoteDate, Real quote) {
-        //QL_REQUIRE(isValidQuoteDate(quoteDate),
-        //           "Quote date " << quoteDate.weekday() << ", " <<
-        //           quoteDate << " is not valid");
-        std::string tag = name();
-        quotes_ = IndexManager::instance().getHistory(tag);
-        quotes_[quoteDate] = quote;
-        IndexManager::instance().setHistory(tag, quotes_);
-    }
-
-    inline void CommodityIndex::clearQuotes() const {
-        IndexManager::instance().clearHistory(name());
-    }
-
-    inline bool CommodityIndex::isValidQuoteDate(const Date& quoteDate) const {
-        return calendar().isBusinessDay(quoteDate);
-    }
-
 }
 
 #endif

ql/experimental/commodities/energybasisswap.cpp

@@ -170,8 +170,8 @@ namespace QuantLib {
                     Real receiveQuoteValue = 0;
 
                     if (stepDate <= lastQuoteDate) {
-                        payQuoteValue = payIndex_->price(stepDate);
-                        receiveQuoteValue = receiveIndex_->price(stepDate);
+                        payQuoteValue = payIndex_->fixing(stepDate);
+                        receiveQuoteValue = receiveIndex_->fixing(stepDate);
                     } else {
                         payQuoteValue = payIndex_->forwardPrice(stepDate);
                         receiveQuoteValue =

ql/experimental/commodities/energyfuture.cpp

@@ -76,7 +76,7 @@ namespace QuantLib {
 
         Date lastQuoteDate = index_->lastQuoteDate();
         if (lastQuoteDate >= evaluationDate - 1) {
-            quoteValue = index_->price(evaluationDate);
+            quoteValue = index_->fixing(evaluationDate);
         } else {
             quoteValue = index_->forwardPrice(evaluationDate);
             std::ostringstream message;

ql/experimental/commodities/energyvanillaswap.cpp

@@ -140,7 +140,7 @@ namespace QuantLib {
                     Real quoteValue = 0;
 
                     if (stepDate <= lastQuoteDate) {
-                        quoteValue = index_->price(stepDate);
+                        quoteValue = index_->fixing(stepDate);
                     } else {
                         quoteValue = index_->forwardPrice(stepDate);
                     }